Kroll Bond Rating Agency Assigns Preliminary Ratings to Freddie Mac STACR 2015-HQA2

NEW YORK--()--Kroll Bond Rating Agency (KBRA) assigns preliminary ratings to 11 classes of notes from Freddie Mac Structured Agency Credit Risk (STACR) 2015-HQA2, a risk transfer securitization consisting of a $17.1 billion reference pool with 74,432 mortgages.

STACR 2015-HQA2 represents the second Freddie Mac credit risk transfer transaction featuring both actual loss exposure and loans with original loan-to-value (LTV) ratios greater than 80% but less than or equal to 95%. This is also the fifth credit risk transfer transaction featuring actual loss exposure issued by Freddie Mac this year, as well as the sixth STACR transaction rated by KBRA overall. The reference pool has a non-zero weighted average (WA) credit score of 749, a WA loan-to-value (LTV) of 91.5%, and a WA combined loan-to-value (CLTV) of 91.6%.

KBRA’s analysis of the transaction included a loan-level analysis of the mortgage pools using our Residential Mortgage Default and Loss Model, together with a review of the key transaction parties, results of loan file reviews performed by independent third party firms and review of the legal structure and key documentation. This analysis is further described in our U.S. RMBS Rating Methodology.

For complete details on the analysis, please see our Pre-Sale Report, STACR 2015-HQA2, which was published on November 23, 2015 at www.kbra.com.

Related Reports:

STACR 2015-HQA2 Pre-Sale Report
Risk-Transfer Transaction Comparison Report
Mortgage Credit Trends: Freddie Mac vs. Prime Jumbo
U.S. RMBS Rating Methodology, published January 9, 2012
Residential Mortgage Default and Loss Model, published January 15, 2015

About Kroll Bond Rating Agency

KBRA is registered with the U.S. Securities and Exchange Commission as a Nationally Recognized Statistical Rating Organization (NRSRO). In addition, KBRA is recognized by the National Association of Insurance Commissioners (NAIC) as a Credit Rating Provider (CRP).

Contacts

Analytical Contacts:
Kroll Bond Rating Agency
Patrick Gervais, (646) 731-2426
pgervais@kbra.com
or
Steve McCarthy, (646) 731-2343
smccarthy@kbra.com
or
Jack Kahan, (646) 731-2486
jkahan@kbra.com

Contacts

Analytical Contacts:
Kroll Bond Rating Agency
Patrick Gervais, (646) 731-2426
pgervais@kbra.com
or
Steve McCarthy, (646) 731-2343
smccarthy@kbra.com
or
Jack Kahan, (646) 731-2486
jkahan@kbra.com